"Ask yourself this - if a god can die, how does his heart still live?"
Lorkhan is immortal in that he represents an enduring concept and is revered by most races of human and beast origin (with the exception of Redguards.) He's not technically Aedra nor as Mankar claims Daedra but he's a god.
Talos is by extension not to be classified by any traditional means. He's not even the exact same type of god as the Tribunal or Arkay.